Thanks to all of you...
I have no particular context in mind as such.
All I can provide is some sentences-
1) I have learned a lot at/ in every step of my life (You may suppose it to be a saying of an old person)
2) With/ at/ in every step we got closer. (First we were only strangers, then we started meeting, we became friends & were getting closer, then we finally fell in love. A context like this may be taken...)
Steps are more well-defined and understood. "Stage" that lingobingo uses is commonly used but tend to express longer time periods and be collocated in line with the context, e.g.
1) I have learned a lot at/ in every stepstage of my life. -> Life is not seen in steps but in stages
2) With/ at in every stepeach date we gotbecame closer. -> A relationship is not seen in steps in e way you describe. Get tends to indicate physical closeness - became tends to indicate an emotional closeness.